ANALISIS PERBANDINGAN KINERJA DAN RISIKO PORTOFOLIO OPTIMAL SAHAM LQ-45 MENGGUNAKAN SINGLE INDEX MODEL DAN CAPITAL ASSET PRICING MODEL PERIODE AGUSTUS 2017 ? JANUARI 2020

UNO, DIKRI CAKRAWALA (2021) ANALISIS PERBANDINGAN KINERJA DAN RISIKO PORTOFOLIO OPTIMAL SAHAM LQ-45 MENGGUNAKAN SINGLE INDEX MODEL DAN CAPITAL ASSET PRICING MODEL PERIODE AGUSTUS 2017 ? JANUARI 2020. S2 thesis, Universitas Mercu Buana Jakarta.

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Abstract

The purpose of this research is to determine the differences between performance and risks optimal portfolio of Single Index Model (SIM) and Capital Asset Pricing Model (CAPM) in the period August 2017 - January 2020. This research is a descriptive study with a quantitative approach. The data collection technique used is documentation study. Based on the results of the calculation, it is found that there is a difference return of the SIM portfolio to CAPM, there is no difference risk of the SIM portfolio to CAPM, there is a difference performance of the SIM portfolio that evaluated using the Sharpe, Treynor and Jansen methods and there is no difference performance of the CAPM portfolio that evaluated using the Sharpe, Treynor and Jansen method. Keywords: LQ45, Optimal Portfolio, Single Index Model, Capital Asset Pricing Model, Optimal Portfolio Performance Tujuan penelitian ini adalah untuk mengetahui adanya perbedaan antara kinerja dan risiko portofolio optimal dengan menggunakan model Single Index Model (SIM) dan Capital Asset Pricing Model (CAPM) pada periode Agustus 2017-Januari 2020. Penelitian ini merupakan penelitian deskriptif dengan pendekatan kuantitatif. Teknik pengumpulan data yang digunakan yaitu studi dokumentasi. Berdasarkan hasil perhitungan ditemukan bahwa terdapat perbedaan return portofolio SIM terhadap CAPM, tidak terdapat perbedaan risiko portofolio SIM terhadap CAPM, terdapat perbedaan kinerja Portofolio SIM yang dievaluasi dengan menggunakan metode Sharpe, Treynor dan Jansen dan tidak terdapat perbedaan kinerja portofolio CAPM yang dievaluasi dengan menggunakan dengan menggunakan metode Sharpe, Treynor dan Jansen. Kata kunci: LQ45, Portofolio Optimal, Single Index Model, Capital Asset Pricing Model, Kinerja Portofolio Optimal

Item Type: Thesis (S2)
NIM/NIDN Creators: 55117120033
Uncontrolled Keywords: LQ45, Portofolio Optimal, Single Index Model, Capital Asset Pricing Model, Kinerja Portofolio Optimal
Subjects: 100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 154 Subconscious and Altered States and Process/Psikologi Bawah Sadar > 154.6 Sleep Phenomena/Fenomena Tidur > 154.63 Dreams/Mimpi > 154.634 Analysis/Analisis
700 Arts/Seni, Seni Rupa, Kesenian > 730 Plastic Arts and Sculpture/Seni Plastik dan Seni Patung > 731 Classical Mechanics, Solid Mechanics/Mekanika Klasik, Mekanika Benda Padat > 731.4 Techniques and Procedures of Sculpture/Teknik Seni Patung, Prosedur Seni Patung > 731.42 Modeling/Permodelan
900 Geography and History/Sejarah, Geografi dan Disiplin Ilmu yang Berkaitan > 910 Geography and Travel/Geografi dan Perjalanan > 910.1-910.9 Standard Subdivisions of Geography and Travel/Subdivisi Standar dari Geografi dan Perjalanan > 910.2 Miscellany of Travel/Aneka Ragam tentang Perjalanan > 910.22 Illustrations, Models, Miniatures/Ilustrasi, Model, Miniatur
Divisions: Pascasarjana > Magister Manajemen
Depositing User: CALVIN PRASETYO
Date Deposited: 03 Jul 2023 04:26
Last Modified: 03 Jul 2023 04:26
URI: http://repository.mercubuana.ac.id/id/eprint/78652

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